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Anomalies in Commodity Futures Markets

Author

Listed:
  • Fabian Hollstein

    (Leibniz University Hannover, Koenigsworther Platz 1, D-30167 Hannover, Germany)

  • Marcel Prokopczuk

    (Leibniz University Hannover, Koenigsworther Platz 1, D-30167 Hannover, Germany2ICMA Centre, Henley Business School, University of Reading, Reading, RG6 6BA, U.K.)

  • Björn Tharann

    (Leibniz University Hannover, Koenigsworther Platz 1, D-30167 Hannover, Germany)

Abstract

In recent years, commodity markets have become increasingly popular among financial investors. While previous studies document a factor structure, not much is known about how prominent anomalies are priced in commodity futures markets. We examine a large set of such anomaly variables. We identify sizable premia for jump risk, momentum, skewness, and volatility-of-volatility. Other prominent variables, such as downside beta, idiosyncratic volatility, and MAX, are not priced in commodity futures markets. Commodity investors should rebalance their portfolios regularly. Returns for annual holding periods are substantially weaker than for monthly rebalancing.

Suggested Citation

  • Fabian Hollstein & Marcel Prokopczuk & Björn Tharann, 2021. "Anomalies in Commodity Futures Markets," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 11(04), pages 1-43, December.
    • Handle: RePEc:wsi:qjfxxx:v:11:y:2021:i:04:n:s2010139221500178
    DOI: 10.1142/S2010139221500178
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    Citations

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    Cited by:

    1. Manuel Ammann & Mathis Moerke & Marcel Prokopczuk & Christoph Matthias Würsig, 2023. "Commodity tail risks," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(2), pages 168-197, February.
    2. Yang, Jianlei, 2024. "Financial stability policy and downside risk in stock returns," The North American Journal of Economics and Finance, Elsevier, vol. 73(C).
    3. Finta, Marinela Adriana & Ornelas, José Renato Haas, 2022. "Commodity return predictability: Evidence from implied variance, skewness, and their risk premia☆☆," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).

    More about this item

    Keywords

    Anomalies; commodity futures markets;

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